Added L1Potts class #344
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Added L1Potts class #344
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Penalized change point detection for piecewise constant signals with L1 data fidelity
The L1 Potts model is defined as follows:
\min_{u} \sum_{i=1}^N w_i |f_i - u_i| + \gamma \sum_{i=1}^{N-1} \mathbb{I}(u_i \neq u_{i+1})
The algorithm implemented is described in the paper
the paper
Storath, Weinmann, Unser.
Jump-penalized least absolute values estimation of scalar or circle-valued signals,
Information and Inference, 2017
The method is significantly faster than PELT for the L1 jump penalized problem.
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Hi could you submit a feature request to https://github.com/edelweiss611428/rupturesRcpp @mstorath I may implement this later. |
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Penalized piecewise regression for piecewise constant signals with L1 data fidelity (L1 Potts model, currently solved with Pelt algorithm and CostL1)
The method is significantly faster than PELT for the L1 jump penalized problem (> 10x )